From Can the market add and subtract? in Chicago Booth Review
While these negative stub situations present attractive arbitrage opportunities, the high returns Lamont and Thaler calculated are difficult to realize due to problems with shorting the subsidiary.
The chief obstacles to arbitrage in these cases were short sale constraints, which make shorting very costly or impossible. In some cases, institutions or individuals may be unwilling to lend their shares to short sellers, the cost of borrowing the share may be too high, or the demand for shares may exceed what the market can supply, creating a price which is too high.
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If irrational investors are willing to buy Palm at an unrealistically high price, and rational but risk averse investors are unwilling or unable to sell enough shares short, then two inconsistent prices can co-exist.